Theo Ran Sun

Université Paris-Dauphine, PSL Research University

Place du Maréchal de Lattre de Tassigny

Paris, 75016

France

SCHOLARLY PAPERS

2

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22

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0

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Scholarly Papers (2)

1.

Bivariate INAR Processes with Application to Mutual Fund Share Purchase/Redemption Counts

Number of pages: 47 Posted: 14 Aug 2018
Université Paris Dauphine - DRM-CEREG, Université Paris-Dauphine, PSL Research University, CNRS, UMR 7088, DRM, Finance, 75016 Paris, France, University of Paris 13 and Université Paris-Dauphine, PSL Research University
Downloads 22 (510,637)

Abstract:

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rare event count process, nonlinear forecasting, memory persistence, liquidity risk

2.

A Self-Exciting Model for Mutual Fund Flows: Investor Behaviour and Liability Risk

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Posted: 01 Jun 2018
Université Paris Dauphine - DRM-CEREG, Université Paris-Dauphine, PSL Research University, CNRS, UMR 7088, DRM, Finance, 75016 Paris, France, University of Paris 13 and Université Paris-Dauphine, PSL Research University

Abstract:

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Financial Econometrics, Hedge Funds/Mutual Funds, Market Microstructure/Liquidity.